Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0327
Annualized Std Dev 0.2667
Annualized Sharpe (Rf=0%) 0.1224

Row

Daily Return Statistics

Close
Observations 4631.0000
NAs 1.0000
Minimum -0.1246
Quartile 1 -0.0069
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0082
Maximum 0.1753
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0168
Skewness -0.0707
Kurtosis 9.7239

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0120
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0120
Downside Deviation (0%) 0.0120
Maximum Drawdown 0.6617
Historical VaR (95%) -0.0254
Historical ES (95%) -0.0410
Modified VaR (95%) -0.0244
Modified ES (95%) -0.0348
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 NA -0.6617 3342 312 NA
2003-01-08 2003-03-12 2003-05-05 -0.2313 81 44 37
2004-02-18 2004-08-12 2004-11-05 -0.1508 183 123 60
2006-05-11 2006-06-13 2006-10-04 -0.1364 102 23 79
2007-07-13 2007-08-15 2007-10-01 -0.1195 56 24 32

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA 1.4 4.9 0 6.4
2003 2.6 2.6 2.1 0.1 1.2 -0.3 -0.1 -0.1 3 -0.2 1.6 1.8 15.2
2004 -0.6 0.6 1.9 -0.6 -0.9 -1.4 -0.1 -0.2 2.3 0.2 2.3 -0.6 2.8
2005 0.2 1.4 -0.4 0.8 0 -0.8 0.7 0.9 -0.6 0.1 1.7 -0.8 3.3
2006 0.1 1 -0.5 0.1 1.1 1.5 -0.6 0.3 -0.2 -0.5 -0.9 0.2 1.4
2007 0.6 -1.5 0.1 -0.1 0.7 0.4 0.5 1.5 0.9 -2.8 0.4 -1.6 -0.7
2008 1.6 -3.3 3.5 0.9 0.2 -0.6 -1.3 -0.5 0 2.2 -9 0.6 -6.1
2009 -1.6 -0.6 2 0.8 2.7 1.7 1.3 -3.5 -3 -4.6 2.7 -1.2 -3.7
2010 2.6 1.7 2.4 -0.6 -1.8 2 -0.6 4.5 0.9 -1.1 4.2 0.7 15.9
2011 2.6 -1.9 1.5 0.1 -3.2 1.4 -2.8 -1.9 -4.1 -5.9 -0.9 0.5 -13.9
2012 2.2 1.6 1.2 0.5 -2.3 6.4 0 1.8 1.1 1.2 0.3 2.3 17.3
2013 1.3 -0.6 -0.6 -0.7 -2.2 1 1.4 -1.2 1.2 -0.7 0.2 0.2 -0.7
2014 -1.5 0.3 1 0.2 0.4 0.8 -1 0 -1.1 1.8 -0.2 -0.9 -0.1
2015 -1.9 0.4 0.9 0.9 -0.1 0.6 0.7 -2.6 -0.3 0.1 0.3 -1.3 -2.3
2016 -0.4 3.1 -1.1 -0.8 -0.1 -0.1 -1.3 0.5 1.6 -0.6 -0.2 0.8 1.3
2017 0.3 1.7 0.4 0.6 0.5 -0.4 0.6 0.3 1.1 0.3 -0.8 -0.4 4.3
2018 0 -0.9 1.2 -0.6 1 1.2 -0.7 -1.4 0.1 1.4 -0.5 0.4 1.1
2019 0.2 0.7 1.2 -0.8 -1.1 0.1 -0.4 0 -1.1 0.6 -0.2 0.5 -0.2
2020 -1.8 -0.8 -5.1 -2.2 2 0 -2.2 0.1 0.4 -0.3 2.5 -1.1 -8.4
2021 1.4 1.9 0 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart